Ahhh....poor baby
It takes some time and patience, but he is young and you can do it!
A GREAT little treat is Peanut Butter Chips (from the baking isle). They are small and effective.
I agree on more socialization. Take him places to see people, new sites and sounds, etc...
Are there any Yorkie Meet-ups in your area:
Use the Internet to get off the Internet! - Meetup.com